Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 8 | 8 | 8 |
| Score | 3.71 | 4.61 | 3.9 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.41 | 0.41 | 0.4 |
| Idiosyncratic Volatility | 0.71 | 0.71 | 0.71 |
Annualized return and volatility
| MEIKX | |
|---|---|
| Annualized Return | 0.0734 |
| Annualized Std Dev | 0.1873 |
| Annualized Sharpe (Rf=0%) | 0.3920 |
Row
Daily Return Statistics
| MEIKX | |
|---|---|
| Observations | 3497.0000 |
| NAs | 1617.0000 |
| Minimum | -0.0958 |
| Quartile 1 | -0.0037 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1257 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.2122 |
| Kurtosis | 14.3476 |
Downside Risk
| MEIKX | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0100 |
| Downside Deviation (MAR=210%) | 0.0132 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.5582 |
| Historical VaR (95%) | -0.0179 |
| Historical ES (95%) | -0.0294 |
| Modified VaR (95%) | -0.0163 |
| Modified ES (95%) | -0.0169 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-01-24 | -0.5582 | 1355 | 364 | 991 |
| 2018-01-29 | 2018-12-24 | 2019-06-20 | -0.1992 | 357 | 233 | 124 |
| 2015-07-17 | 2016-02-11 | 2016-04-19 | -0.1284 | 194 | 148 | 46 |
| 2007-07-16 | 2007-08-15 | 2007-10-05 | -0.0922 | 60 | 23 | 37 |
| 2006-05-11 | 2006-06-13 | 2006-09-05 | -0.0801 | 82 | 23 | 59 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | MEIKX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2006 | NA | NA | NA | -0.3 | 1.0 | 0.0 | -0.4 | 0.5 | 0.0 | -0.3 | -0.3 | 0 | 0.2 |
| 2007 | 0.9 | -0.1 | 0.0 | 0.3 | 0.3 | 0.0 | 0.8 | 0.0 | 1.4 | -2.8 | 0.0 | 0 | 0.8 |
| 2008 | 1.3 | 0.0 | 3.5 | 1.6 | 0.0 | 0.3 | -0.6 | 0.0 | -0.7 | 0.0 | -9.0 | 0 | -3.9 |
| 2009 | 0.0 | 0.0 | 1.7 | 0.9 | 2.0 | 0.6 | 0.0 | -1.9 | -2.2 | 0.0 | 1.3 | 0 | 2.3 |
| 2010 | 1.3 | 0.8 | 0.8 | 0.0 | -1.6 | -0.1 | 0.0 | 2.9 | 0.6 | 0.0 | 2.0 | 0 | 6.8 |
| 2011 | 1.6 | -1.3 | 0.5 | 0.0 | -2.2 | 1.3 | -0.6 | -1.2 | 0.0 | -3.0 | -0.4 | 0 | -5.3 |
| 2012 | 1.1 | 0.7 | 0.0 | 0.5 | -2.4 | 0.0 | -0.2 | 0.0 | 0.6 | 1.0 | 0.0 | 0 | 1.3 |
| 2013 | 0.9 | 0.1 | -0.4 | -0.8 | 0.0 | 0.6 | 1.3 | 0.0 | 0.6 | 0.4 | 0.0 | 0 | 2.7 |
| 2014 | 0.0 | 0.0 | 0.3 | -0.1 | 0.0 | 0.7 | -0.4 | 0.0 | -1.2 | 0.0 | -0.4 | 0 | -1.2 |
| 2015 | 0.0 | 0.0 | -0.4 | 0.8 | 0.0 | 1.0 | 0.0 | -2.9 | 0.0 | 0.0 | 0.8 | 0 | -0.7 |
| 2016 | -0.2 | 2.2 | 0.6 | 0.0 | 0.2 | 0.2 | -0.2 | 0.0 | 0.0 | -0.5 | 0.2 | 0 | 2.6 |
| 2017 | -0.2 | 1.5 | 0.0 | 0.0 | 0.9 | 0.0 | 0.2 | 0.1 | 0.0 | 0.1 | -0.1 | 0 | 2.5 |
| 2018 | 0.2 | -1.5 | 0.0 | -0.1 | 0.9 | 0.0 | -0.7 | 0.0 | 0.5 | 0.8 | 0.0 | 0 | 0.1 |
| 2019 | 0.3 | 0.7 | 1.2 | -0.7 | 0.0 | 0.7 | -1.0 | 0.0 | -1.5 | 0.9 | 0.0 | 0 | 0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
